Why won't the keyframe menu show up?

[Skvovol]

Please help me with this problem I've got animating a gun I downloaded for a game me and my friends are making...

Basically I can't even get started because when I press the 'I' key on my keyboard it just says "Insert Keyframe Menu" and doesn't give me any of the keyframe options...

Here's a screenshot to explain my problem better... http://i.imgur.com/WzoH5aN.jpg

This is pretty urgent so any help is appreciated!
Please tell me what I'm doing wrong soon.

Thank you!

[CoDEmanX]

you need an active object, select the gun or whatever you wanna animate and try again